fluid simulation showing and odd box instead of working
So that is actually the intended result. Let me explain.

Whats happened here is there has been a new object created, which is the "odd box" that you see. Your sphere is still there, you just cannot see it as it is inside of the box.

This box is what is know as the domain object. The domain is a boundary object that tells blender where fluid is allowed to be in your scene.

Your original object has now become a fluid object, and will behave like a ball of water (or whatever your settings make it behave like) when you run the simulation.

Now, if you just try and play the animation you will see that nothing happens. The reason for that is because the simulation has not been baked. Baking the simulation runs through the simulation and stores the simulation in memory so that it can be replayed faster. To bake a fluid, select the domain object, go to the physics tab of the properties panel, and about halfway down in that panel there will be a big button that has a water drop icon that says Bake on it (and the amount of memory it will take). Click on that, let it finish baking, and things should be as you expect. The bake may take up to a minute or so depending on your computer.